Assuming you mean mash and/or lauter efficiency... Keeping things simple for now... Think about the word "efficiency" as "of all the possible sugars I could get out of the grain and into the fermenter, how much did I actually get".
Let's say you duplicate a recipe that someone else did. All your volumes are dead on and everything goes well, but they got 80% efficiency and you got 65%. Your beer will have a lower OG than planned, because you didn't convert and extract the as much of the sugars. Thence you get a lower ABV, less maltiness (flavor/backbone/oomph), and basically lighter and weaker than the original recipe. When it changes a lot, it could take the hop/malt balance out of whack (unless you are one of those that love uber-hopped beers where you cant taste the malt anyway, then it doesn't matter). In many cases its not the end of the world.
It's very beneficial to know your system, processes and capabilities so that when you build up a recipe, you can adjust it for your own system. It's ok to have a lower efficiency as long as you know what the number approximately is, and know it might take a little more grain to do the same recipe that someone else does with a higher efficiency.
It works the other way too. You see a recipe on the internet that you want to try. It says "75% efficiency" then lists the grains and batch size. If you duplicate it and get 85%, your OG, ABV, etc will be higher than expected.